Do you still want the source files?
Only if you need help merging without loading individual tables into sheet.

How do I load each table as connection only to powerquery?
Once connection is made, go into editor. Do necessary transformation and click on "Close & Load To". In the menu choose "Only Create Connection".
Once all transformation and merge etc are done. You can load end result to a sheet or data model.

How do I remove columns? Query Editor?
Yes. If you are looking at my sample. You can see where I removed columns in "Applied Steps" pane at the right hand side of editor window.